This chapter defines the qualifying criteria for high-quality liquid assets.

Version effective as of 15 Dec 2019

Updated to include the following FAQ: LCR30.1 FAQ1.

Introduction

30.1 The numerator of the Liquidity Coverage Ratio (LCR) is the "stock of high-quality liquid assets (HQLA)". Under the standard, banks must hold a stock of unencumbered HQLA to cover the total net cash outflows (as defined in LCR40) over a 30-day period under the stress scenario prescribed in LCR20. In order to qualify as HQLA, assets should be liquid in markets during a time of stress and, ideally, be central bank eligible. The following paragraphs set out the characteristics that such assets should generally possess and the operational requirements that they should satisfy. [Refer to the sections on "Definition of HQLA" (LCR30.30 to LCR30.47) and "Operational requirements" (LCR30.13 to LCR30.28) for the characteristics that an asset must meet to be part of the stock of HQLA and the definition of "unencumbered" respectively.]

FAQ

FAQ1

Regarding the reform of benchmark reference rates, what guidance can the Committee provide on the assessment of eligibility of instruments as HQLA?